國際資本流動與臺灣股指波動：基於VECM模型的動態關係實證研究

International Capital Flows and the Taiwan Stock Index: A VECM Analysis of Dynamic Interactions

傳統金融理論認為證券市場走勢與經濟增長高度相關，然而，2008至2020年間，臺灣股市在年均GDP增速僅2.8%的背景下實現累計267%的漲幅，呈現顯著背離。本文聚焦國際資本流動與臺灣加權股價指數（TWSE）的動態互動機制，構建包含政策利率（PR）、通脹預期（RINF）和風險偏好（CEII）的向量誤差修正模型（VECM），實證檢驗新興市場資本流動與股指波動的回饋路徑。
既有文獻對資本流動與股市關係的方向性存在分歧。Alfaro（2004）強調本地金融條件吸引外資，Warnock（2006）則證實資本流入影響市場利率。本文突破單向分析框架，提出雙假設：H1（TWSE與資本流動、政策利率存在長期協整）、H2（國際資本在互動中占主導地位）。研究採用TWSE、外資持有資產（LIAB）、重貼現率（PR）等變數，通過Johansen協整檢驗（滯後3期）和ADF單位根檢驗（p<0.01）構建VEC模型。
實證結果顯示：（1）基準模型中TWSE誤差修正係數（-0.113）顯著高於LIAB（-0.041），表明短期調整以資本流動為主導；（2）LIAB滯後項對TWSE影響係數達0.32（t=2.15），反向作用不顯著。格蘭傑因果檢驗（χ²=6.34，p=0.012）證實資本流動對政策利率存在單向引導效應。
結論表明：國際資本持續流入是臺股“長牛”的核心驅動力，而非傳統的經濟基本面因素。在長期協整關係中，資本流動貢獻度達68.7%，其通過改善投資者結構（外資占比超35%）和增強市場聯動（與納斯達克相關性0.82）形成正向迴圈。本文創新性地揭示了資本流動與股指的動態回饋機制，為開放型證券市場研究提供了新範式。政策層面，建議新興市場經濟體完善跨境資本監測機制，並通過培育機構投資者來平抑外資波動衝擊。

Traditional financial theory posits a strong correlation between securities market performance and economic growth. However, from 2008 to 2020, the Taiwan stock market achieved a cumulative gain of 267% against a backdrop of an average annual GDP growth rate of merely 2.8%, demonstrating a significant divergence. This paper focuses on the dynamic interaction mechanism between international capital flows and the Taiwan Weighted Stock Index (TWSE). A Vector Error Correction Model (VECM) incorporating the policy rate (PR), inflation expectations (RINF), and risk appetite (CEII) is constructed to empirically examine the feedback loop between capital flows and stock index volatility in an emerging market.
Existing literature presents divergent views on the directionality of the relationship between capital flows and the stock market. Alfaro (2004) emphasizes the role of local financial conditions in attracting foreign capital, while Warnock (2006) demonstrates that capital inflows influence market interest rates. Moving beyond a unidirectional analytical framework, this paper proposes two hypotheses: H1 (a long-term cointegration relationship exists among the TWSE, capital flows, and the policy rate) and H2 (international capital plays a dominant role in this interaction). Using variables including the TWSE, foreign-held assets (LIAB), and the rediscount rate (PR), a VEC model is established based on Johansen cointegration tests (lag 3) and ADF unit root tests (p < 0.01).
The empirical results indicate: (1) In the baseline model, the error correction coefficient for the TWSE (-0.113) is significantly larger than that for LIAB (-0.041), suggesting that short-term adjustments are primarily driven by capital flows; (2) The lagged term of LIAB has a significant impact on the TWSE with a coefficient of 0.32 (t = 2.15), whereas the reverse effect is not significant. Granger causality tests (χ²= 6.34, p = 0.012) confirm a unidirectional causal effect from capital flows to the policy rate.
The conclusion demonstrates that sustained international capital inflows were the core driver of the Taiwan stock market's ''prolonged bull run,'' rather than traditional economic fundamentals. Within the long-term cointegration relationship, capital flows contribute 68.7%, forming a virtuous cycle by improving the investor structure (foreign ownership exceeding 35%) and enhancing market linkages (correlation with Nasdaq: 0.82). This study innovatively reveals the dynamic feedback mechanism between capital flows and the stock index, providing a new paradigm for research on open securities markets. On the policy front, it is recommended that emerging market economies enhance cross-border capital monitoring mechanisms and cultivate institutional investors to mitigate the impact of foreign capital volatility.